Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
7 Pages Posted: 22 Jul 2021
Date Written: July 20, 2021
We propose a time-adaptive high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and combine this with an adaptive time discretisation, extending ideas from [LSRHF02] to fourth-order multistep methods in time.
Keywords: Option Pricing, time adaptivity, High-Order Compact Finite Differences, Stochastic Model
JEL Classification: C63, G13
Suggested Citation: Suggested Citation
Düring, Bertram and Heuer, Christof, Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models (July 20, 2021). Available at SSRN: https://ssrn.com/abstract=3890159 or http://dx.doi.org/10.2139/ssrn.3890159
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